model-confidence-set

There are 5 repositories under model-confidence-set topic.

  • bashtage/arch

    ARCH models in Python

    Language:Python1.3k45207248

  • ogrnz/feval

    Easily evaluate your forecasts with (multivariate) Diebold-Mariano and (multivariate) Giacomini-White tests of equal predictive ability and MCS.

    Language:Python6321

  • JLDC/model-confidence-set

    Model Confidence Set (MCS) implementation in Python

    Language:Python5100

  • hkalager/FDR_buckets

    This repository includes the scripts to replicate the results of my paper entitled "A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection".

    Language:MATLAB3110

  • Heming0425/Model_Confidence_Bound

    The MCB for variable selection identifies two nested models (upper and lower confidence bound models) containing the true model at a given confidence level.

    Language:R2100